Forecast of prices and volatility on the day ahead market
Forecast of prices and volatility on the day ahead market
Author(s): Alicja Ganczarek-GamrotSubject(s): Economy
Published by: Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
Keywords: principal component analysis (PCA); SARIMA model; DCC model; Value-at- -Risk; portfolio
Summary/Abstract: The subject of this paper is the forecast of prices and volatility on the Day Ahead Market (DAM). The analysis was made for two portfolios of four contracts from 30.03.2009 to 28.10.2011 for two fixings on DAM. Four out of 24 contracts noted on DAM were chosen by PCA. Prices were forecast by the SARIMA models incorporating autocorrelation and seasonality. Value-at-Risk calculated through the DCC model was used to forecast volatility. These models describe well the prices and volatility on the DAM and may be used for forecasting purposes. Prices on fixing 2 are characterized by higher volatility than prices on fixing 1.
Journal: Ekonometria
- Issue Year: 2013
- Issue No: 39
- Page Range: 111-120
- Page Count: 10
- Language: English